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Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #121004
7/10/2014 11:35:56 PM

Only one update needed ...

BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET
STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET

Current put spread delta = -0.74 (EXRTREME RISK)

There is still a 49% chance this will close at breakeven or above. Fingers are crossed.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120991
7/10/2014 10:01:12 AM

Ouch - so far today the big drop in the markets has totally blown the IWM put spread - now likely to take a big loss (remember, the max loss is $4000 on this one). This is of course the problem with statistics - they are always right. The chance of a max loss when the trade was put on was about 3-4%, not zero. Let's see how this plays out.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120986
7/9/2014 10:45:40 PM

7/9: Update on Pangolin IC trades for options expiring on 11 July:


BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET
STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET

Current put spread delta = -0.03 (EXCELLENT)

The probability of max profit is now 99.80%.

STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET
BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET

Current call spread delta = 0.05 (VERY GOOD)

The probability of max profit for this wing is 98.78%.

BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET
STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET

Current put spread delta = -0.04 (EXCELLENT)

The probability of max profit is currently 99.58%.

BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET
STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET

Current put spread delta = -0.35 (HIGH RISK)

The probability of max profit is still only 61.86%, and the probability of max loss is at 7.15%.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120980
7/8/2014 9:07:56 PM

7/8: Update on Pangolin IC trades for options expiring on 11 July:


BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET
STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET

Current put spread delta = -0.05 (VERY GOOD)

The probability of max profit is now 97.76%.

STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET
BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET

Current call spread delta = 0.05 (VERY GOOD)

The probability of max profit for this wing is 99.21%%.

BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET
STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET

Current put spread delta = -0.08 (GOOD)

The probability of max profit is currently 95.27%.

BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET
STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET

Current put spread delta = -0.38 (HIGH RISK)

The probability of max profit is currently only 57.39%, and the probability of max loss has gone from 3.98% to 12.24%.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120977
7/8/2014 9:34:19 AM

How do you balance the premium against the probability that the options will move against you?


Well, the probability is always 90+% for either leg when the trade is put on (if am doing it right) so that really doesn't change. The premium I look for needs to be at least 0.05 per contract or it simply isn't worth it to take on the added risk. I WANT to do iron condors but not if the commissions eat up all the profit on one of the wings. Better to just do the spread.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120974
7/7/2014 9:15:44 PM

7/7: Update on Pangolin IC trades for options expiring on 11 July:


BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET
STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET

Current put spread delta = -0.06 (VERY GOOD)

The probability of max profit is now 95.87%.

STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET
BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET

Current call spread delta = 0.06 (VERY GOOD)

The probability of max profit for this wing is 98.35%%.

BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET
STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET

Current put spread delta = -0.06 (VERY GOOD)

The probability of max profit is currently 99.13%.

BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET
STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET

Current put spread delta = -0.21 (ELEVATED RISK)

The probability of max profit is currently 79.68%, and the probability of max loss is 3.98%. We are still OK for now.


Filter Exchange · Sharpe Ratio
Kevin_in_GA
msg #120972
7/7/2014 8:18:26 AM

http://forums.stockfetcher.com/forums/Filter-Exchange/PORTFOLIO-SELECTION-AND-MANAGEMENT-USING-RISK-REWARD-RATIOS/91296

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120953
7/3/2014 10:35:22 PM

7/3: Update on Pangolin IC trades for options expiring on 3 July:

All spreads closed profitably, netting $588 after commissions. In the last four weeks (one week with no trades) this approach has returned $1826 or 7.3% on the initial equity amount of $25,000.

7/3: Update on Pangolin IC trades for options expiring on 11 July:

There was not enough profit to take on call spreads for IWM or SPY this week. GLD provided both spreads at a decent premium. Here are the trades put on for this coming week:

BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET
STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET

Current put delta = -0.10 (GOOD)

The probability of max profit is 91.97%%.

STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET
BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET

Current call delta = 0.06 (VERY GOOD)

The probability of max profit is 93.41%.

BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET
STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET

Current put delta = -0.09 (GOOD)

The probability of max profit is currently 93.35%.

BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET
STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET

Current put delta = -0.06 (VERY GOOD)

The probability of max profit is currently 98.69%.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120939
7/2/2014 8:29:16 PM

7/2: Update on Pangolin IC trades for options expiring on 3 July (1 day to expiration):

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.01 (EXCELLENT)

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.00 (EXCELLENT)

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.00 (EXCELLENT)

The probability of max profit on all of the above trades is 100%. Together they will generate $504 in profit after commissions.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.16 (REDUCED RISK BUT STILL ELEVATED)

The probability of max profit for this wing is now up to 75.14% since IWM closed lower today. The probability of taking a max loss is down to only 1.34%. As long as it stays under 120 we'll make the max profit.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120933
7/1/2014 10:02:32 PM

7/1: Update on Pangolin IC trades for options expiring on 3 July:

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.02 (EXCELLENT)

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.02 (EXCELLENT)

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.01 (EXCELLENT)

The probability of max profit on all of the above trades is 100%. Together they will generate $504 in profit after commissions.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.36 (HIGH RISK)

The probability of max profit for this wing is now at only 48.66% since IWM closed today at 120.02. The probability of taking a max loss is 12.94%. No adjustments are planned at this stage - it is as likely to close profitably as not, and I have faith that statistics will keep any loss manageably small. Fingers crossed for a small loss over the next few days.

.

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